ANNOUNCEMENT OF LOCKDOWN AND ADMINISTRATION OF COVID VACCINE AND INDIAN STOCK MARKET RESPONSE- AN EVENT STUDY ANALYSIS
The present study investigates the impact of the announcement of the administration of COVID-19 vaccine on the stock market of India. The study examines the extent of the influence of the lockdown on the Indian stock market. With the increase in the number of traders and investors, specially post COVID scenario, it was thought necessary to examine the market's daily returns to determine the influence of COVID 19 on the Indian stock market, particularly the pre- and post-announcement of the country's lockdown, as well as the pre- and post-administration of the first COVID 19 vaccination. The study will contribute to the domain of Indian stock market and its reactions on the first lockdown announcement (On March 24, 2020) and first administration of COVID 19 vaccine. (16th January 2021). Benchmark models proposed to calculate abnormal returns are (1) Mean Adjusted Returns (2) Market Adjusted Returns (3) One Factor Model (4) CAPM and (5) Arbitrage Pricing Model (Multi factor model). The results obtained are interesting and indicate a significant reaction from the airline sector, although all the sectors have also reacted to the vaccine announcement event.
COVID-19, Event Study, vaccine administration, stock market, abnormal return